Table of contents

PART I: FUNDAMENTALS
Introduction
Fundamental Risk Factors of Financial Markets
Financial Instruments: A System of Derivatives and Underlyings

PART II: METHODS
Overview of the Assumptions
Present Value Methods, Yields and Traditional Risk Measures
Arbitrage
The Black-Scholes Differential Equation
Integral Forms and Analytic Solutions in the Black-Scholes World
Numerical Solutions Using Finite Differences
Binomial and Trinomial Trees
Monte-Carlo Simulations
Hedging
Martingales and Numeraires
Interest Rates and Term Structure Models

PART III: INSTRUMENTS
Spot Transactions on Interest Instruments
Forward Transactions on Interest Rates
Plain Vanilla Options
Exotic Options

PART IV: RISK
Fundamentals
The Variance-Covariance Method
Simulation Methods
Interest Rate Risk and Cash Flows
Example VaR-Computation
Backtesting: Checking the Applied Methods

PART V: Portfolios
Classical Portfolio Management
Attributes and their Characteristic Portfolios
Active Management and Benchmarking

PART VI: MARKET DATA
Interest Rate Term Structures
Volatility
Market Parameter from Historical Time Series
Time Series Modelling
Forecasting with Time Series Models
Principle Component Analysis
Pre-Treatment of Time Series and Assesment of Models
Probabiltiy and Statistics